Credit Risk Strategy & Analytics Manager
Reporting to the Head of Portfolio Strategy, you will be responsible for providing credit risk expertise for the development of enterprise-wide risk management initiatives, with focus on credit impairments, portfolio risk measurement, stress testing, risk capital and regulatory change.
KEY RESPONSIBILITIES:
- Be a credit risk SME to support the development of frameworks for risk appetite and economic capital for enterprise risk management initiatives
- Deliver the credit risk section of the Internal Capital Adequacy Assessment Process (ICAAP) for the group
- Represent Group Credit Risk in regulatory change initiatives
- Support the CCO in providing the FSA with credit risk information requests and thematic reviews
- Deliver of slide packs and data to describe the Group’s credit risk profile and the credit risk management framework the CCO and Head of Restructuring Risk for rating agencies
- Act as a Credit Risk SME at the Model Review Committee, which provides oversight of the Group’s PD, LGD and EAD models
ESSENTIAL SKILLS EXPERIENCE:
- Credit risk management in a major commercial bank or risk consultancy
- Developed credit risk control frameworks
- Economic Capital, RWA, Capital Management are essential
Defined requirements for management reports and delivered reports to Board-level committees / stakeholders
- Modelled and/or used range of credit measures, e.g., PD, LGD, EAD, Counterparty Credit Exposure (e.g. PFE and EPE)
- Specified Economic Capital and Stress Testing models
- Developed provisioning methodologies or analysis of trends
- Preparing presentations for a senior management audience
- Interpreted regulatory requirements, e.g., Basel II/III and worked with regulators
DESIRABLE:
- Counterparty credit assessment and/or approval
- Industry sector analysis
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